how do you set up to run PC apps on Mac?

You can get something like Parallels, VMWare or VirtualBox and run Windows in a virtual machine, or you can use Boot Camp to install Windows in a partition or second hard drive on your Mac and boot into either Windows or Mac. The former is more convenient, but the latter gives better performance to whichever system is running at a time.

I'm running Windows Vista on a VirtualBox VM (the free option) on my MacBook Air, and it runs better than it ever did on the QuadCore Phenom PC it was originally installed on.

Then again, it's running off of my internal flash drive right now. I'm getting ready to transplant it to an external (fixed storage) USB3.0 HDD, though. I suspect it will slow down a little, but it should still run well considering USB3.0 =/> eSATA, as far as I can tell.

Edit to add: While VirtualBox is free, you still need a legitimate copy of Windows.

As others have noted, your options are using virtual machine software (VMWare, Parallels or VirtualBox) or using Boot Camp. If you need to only run a couple of Windows programs and want to be able to access your Mac applications at the same time, the virtual machine options clearly win. While peformance is better under Boot Camp, the difference primarily will be of use if you are going to be runnning high demand PC games. Most likely a virtual machine installation of Windows will still run at higher performance than an older Windows PC it is replacing.

The virtual machine runs under the supervision of Mac OSX and the Windows programs run at the same time as OSX programs. Boot Camp requires you to choose which operating system you will run when you boot--thus, once you choose to boot in Windows the machine simply *is* a Windows PC that happens to be manufactured by Apple, at least until you reboot and choose to go into OSX.

In either case, you will need a licensed version of Windows to install on the Mac. VMWare and Parallels are separate commercial programs you will need to purchase as well. Virtual Box is open source and available for free, but it has a less polished installation routine and a slightly lower level of integration with OSX. Note that you don't have a licensed version to install of Windows if what you have is the version on your prior PC *IF* that version of Windows is an OEM one (and that is almost always the case for any major brand Windows PC). Such a licensed is tied to one specific machine.

Boot Camp comes with OSX itself, so there you only need Windows itself.

There is one other possible option, but it works for a more limited subset of applications. You can run either Crossover Office (commercial) or the Mac-port of Wine (open source and not for the technically unsophisticated). Those attempt to duplicate the Windows system calls on the Mac, but they work with only a more limited subset of programs--generally more popular ones that have been out for a while. The advantage is that you don't have to purchase Windows.

Finally, I suppose, I should note that some WIndows program exist in OSX versions (Microsoft Office, the various Adobe products, ...), or there are OSX substitutes that may work as well. However, if you need to run a vertical market program it's likely that was designed for Windows and there won't be an OSX version. In my case as a tax CPA the major programs I have to run under Windows are just such programs.

If you go the VirtualBox route, once Windows is installed and running, be sure to Install Guest Additions from the (VirtualBox) Devices menu bar item or you'll have a bunch of default (4:3) resolutions that just don't quite fit your screen right. It adds Windows Drivers for Mac devices that aren't otherwise available.

Just a follow up... I had a little trouble moving the vdi (the Virtual hard drive) to the external drive directly, so I had to completely delete everything I had done and reinstalled Windows (including making a phone call to Microsoft to transfer the activation) on the external drive (VirtualBox itself still runs off of my internal flash drive).

Took a while to fully update Windows on the external drive, but now everything works perfectly. Still faster than my desktop, too. Very little drop off (in any) in performance from the internal flash memory to the external USB3.0.